Mawuli SEGNON (Universität Münster) “Strict stationarity and Long memory of MIDAS volatility models”

January 30 @ 11:00 am - 12:00 pm

Finance & Financial Econometrics : 
Time: 11.00 am
Date: 30th of January 2025
Room 3001

Mawuli SEGNON (Universität Münster) “Strict stationarity and Long memory of MIDAS volatility models”

Abstract :This paper establishes the necessary and sufficient conditions for the weak and strict stationarity of MIDAS volatility models. Furthermore, we also provide conditions for the existence of high-order moments and show that the HYGARCH-MIDAS model can mimic long-range dependence.

Organizers: 

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST

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